From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors
分析基于消费的资产定价模型（习惯形成、长期风险、前景理论）能否帮助投资者改进超额收益预测，通过贝叶斯框架将模型约束作为先验信息，发现模型先验优于历史平均和正股权溢价先验。
Abstract This article analyzes whether consumption-based asset pricing models improve the excess returns forecasts of a hypothetical investor with access to these models from 1947 onwards. The investor imposes economic constraints derived from asset pricing models as model-based priors on predictive regression parameters through a Bayesian framework. Three models are considered: habit formation, long-run risk, and prospect theory. The model-based priors generally perform better than priors that shrink the parameter estimates to the historical average model and priors that impose a positive equity premium. This analysis helps to assess the value of consumption-based asset pricing models to investors.